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Securitizations and Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of Cash Flows Related to Transfers Accounted for as Sales

The following table presents a summary of cash flows received from and paid to securitization trusts related to transfers of loans accounted for as sales that were outstanding:



	Three Months Ended March 31,
	2020			2019
Proceeds received from securitizations	$	820,001		$	242,960
Servicing fees collected (1)	12,252			15,918
Purchases of previously transferred assets, net of claims reimbursed	(2,607		)	(904		)
	$	829,646		$	257,974

Schedule of Assets That Relate to Continuing Involvement with Transferred Financial Assets with Servicing Rights and Maximum Exposure to Loss Including the Unpaid Principal Balance

The following table presents the carrying amounts of our assets that relate to our continuing involvement with forward loans that we have transferred with servicing rights retained as well as an estimate of our maximum exposure to loss including the UPB of the transferred loans:



	March 31, 2020		December 31, 2019
Carrying value of assets
MSRs, at fair value	$	83,582	$	109,581
Advances	127,114		141,829
UPB of loans transferred	15,831,062		14,490,984
Maximum exposure to loss	$	16,041,758	$	14,742,394

Schedule of Mortgage Servicing Rights Assets and Liabilities

The table below presents the carrying value and classification of the assets and liabilities of the PLS Notes facility:



	March 31, 2020			December 31, 2019
MSRs pledged (MSRs, at fair value)	$	141,610		$	146,215
Debt service account (Restricted cash)	2,941			3,002
Outstanding borrowings (Other secured borrowings, net)	86,911			94,395
Unamortized debt issuance costs (Other secured borrowings, net)	(1,196		)	(1,207		)

The table below presents the carrying value and classification of the assets and liabilities of the Agency MSR financing facility:



	March 31, 2020		December 31, 2019
MSRs pledged (MSRs, at fair value)	$	173,313	$	245,533
Unamortized debt issuance costs (Other assets)	473		946
Debt service account (Restricted cash)	102		100
Outstanding borrowings (Other secured borrowings, net)	114,290		147,706

As of March 31, 2020, the UPB of loans serviced on behalf of NRZ comprised the following:



Ocwen servicer of record (MSR title retained by Ocwen) - Ocwen MSR (1)	$	17,910,643
NRZ servicer of record (MSR title transferred to NRZ) - Ocwen MSR (1)	89,811,915
Ocwen subservicer	6,211,564
Total NRZ UPB at March 31, 2020	$	113,934,122

Schedule of Carrying Value of Assets and Liabilities of Consolidated Mortgage-backed Securitization Trusts

The table below presents the carrying value and classification of the assets and liabilities of two consolidated mortgage-backed securitization trusts included in our unaudited consolidated balance sheets as a result of residual securities we acquired which were issued by the trusts.



	March 31, 2020		December 31, 2019
Loans held for investment, at fair value - Restricted for securitization investors	$	22,561	$	23,342
Financing liability - Owed to securitization investors, at fair value	21,365		22,002